Abstract
This paper investigates the predictive power of intraday technical trading in China’s gold market. We conduct this study by employing a 5-min intraday data from the most active futures contract listed on the Shanghai Futures Exchange covering the period spanning from 12th March 2018 to 10th March 2021. Our empirical evidence suggests that after comprehensively considering data snooping, transaction costs, market conditions, and frequencies of portfolio rebalancing, investors are unlikely to choose technical trading rules that persistently yield attractive out-of-sample performance, indicating that the predictive power of intraday technical trading in China’s gold market is illusory.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of International Financial Markets, Institutions and Money
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
